CS gas. Canister type (grenades) are a bit of cash (usually $40-$50) but the tablets are much, much cheaper. Basically, you put these on a outdoor burner and they sublime into the necessary gas. Nothing says "I hate you but it's illegal to kill you" like a good dose of CS. Watching people come out of a gas tent is one of the more memorable experiences I have (well, besides being in it myself).
Or, if you just want to scare them, surplus orange smoke grenades (for boat distress signals) can be had for about $8. These are more for effect than anything as they are only mildly irritating to breathe in.